Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0063
Annualized Std Dev 0.1156
Annualized Sharpe (Rf=0%) -0.0549

Row

Daily Return Statistics

Close
Observations 5570.0000
NAs 1.0000
Minimum -0.1145
Quartile 1 -0.0033
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0035
Maximum 0.1099
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0073
Skewness -1.1016
Kurtosis 36.1230

Downside Risk

Close
Semi Deviation 0.0054
Gain Deviation 0.0051
Loss Deviation 0.0062
Downside Deviation (MAR=210%) 0.0108
Downside Deviation (Rf=0%) 0.0054
Downside Deviation (0%) 0.0054
Maximum Drawdown 0.4704
Historical VaR (95%) -0.0100
Historical ES (95%) -0.0172
Modified VaR (95%) -0.0088
Modified ES (95%) -0.0088
From Trough To Depth Length To Trough Recovery
1999-03-15 2008-10-10 2012-02-27 -0.4704 3250 2402 848
2012-11-29 2020-03-23 NA -0.3637 2084 1838 NA
2012-03-05 2012-03-19 2012-05-02 -0.0584 42 11 31
2012-05-25 2012-06-15 2012-09-24 -0.0509 84 15 69
1999-01-12 1999-01-19 1999-02-08 -0.0226 19 5 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.4 1.1 0.4 0.4 -0.8 0 0 0 0 0.4 -0.5 0.5 2
2000 0.5 0 0.5 1 1.4 0.5 0 1 -0.5 0.2 0.5 -1 4.1
2001 1.4 0.5 0.4 0.1 0.9 0 0.4 -0.1 1.2 2.2 0.6 0.5 8.2
2002 1.7 -0.5 2.1 0.6 0.7 1.1 1.4 0.4 -1.1 1.1 1.1 0.5 9.3
2003 0 1.2 0.3 1.6 0.7 1.8 -0.7 -1.1 2.6 -0.1 -0.6 -0.2 5.6
2004 -0.4 -0.1 0.8 0.3 1.3 2 1 0.3 2 -0.7 0.8 -1.5 5.9
2005 0.2 0.6 1.7 0.7 1.5 1 0.8 0.9 -0.6 0.5 1 0.8 9.5
2006 -0.1 0.3 0.4 -0.1 0.5 0.7 -0.1 0.5 0.7 0.1 -0.2 0.1 2.8
2007 -0.3 -0.5 0.2 -0.5 0.1 0.8 -0.6 0.1 -0.4 0.5 0.5 0.6 0.6
2008 -0.1 -2.1 0.5 0.1 -0.1 0.3 0.2 0.2 -0.5 0.7 -2.2 -1.5 -4.6
2009 1 1.3 0.6 1.5 0.1 0.8 0.4 0.1 0.1 -2.1 0 0.3 4
2010 0.7 0.7 0.5 0.2 0.3 0 0.1 0.2 -0.6 -0.4 0.3 2.1 4
2011 0.8 0.6 0.2 0.9 0.8 0.3 1.2 0.1 -0.5 0.3 -0.3 -0.2 4.4
2012 0.7 0.1 0.1 0.4 0.3 0 -0.1 0.6 1 0.8 -0.4 0.4 3.9
2013 0.8 0.5 -0.2 0.6 -2 0.8 -0.8 0.1 0 -0.4 -0.3 0.1 -0.8
2014 0.1 -0.4 -0.5 2.4 0 -0.9 -0.9 -0.2 0.3 -0.3 0.2 0.2 -0.1
2015 0.5 0.6 0.2 -0.3 -0.1 0.1 0.5 0.2 0.3 0.1 0.4 0.5 3.2
2016 0.5 0.6 0.4 0.1 2.1 0.1 -0.1 0.1 -0.3 0.5 -1 0.4 3.4
2017 -0.3 -0.8 0.1 -0.4 -0.5 -0.2 0 -0.2 -0.1 0.2 0.2 0.2 -1.7
2018 -0.7 0 0.2 -0.2 0.2 -0.1 -0.4 0.8 0.1 0.4 0.3 0.2 0.6
2019 0.3 0 0.2 0.4 0.4 0.4 -0.1 0 -1.2 -0.1 -0.1 -0.3 0
2020 0.4 0.1 -3.6 -0.3 -0.1 0.6 0 -0.2 -0.3 -0.8 -0.8 0.4 -4.7
2021 -0.2 0.5 -0.4 NA NA NA NA NA NA NA NA NA -0.1

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart